Teams that have a 3-1 lead in the Cup Final have won the series 32 of 33 times. The only team that didn't was the Red Wings in 1942, when they blew a 3-0 lead and lost to the Toronto Maple Leafs in seven games.
Game 5 is at Vegas on Thursday.
"Obviously, it can be easy in a game where you can clinch to get a little bit of ahead of ourselves, but we've got a good group of leaders in the room and some young guys who have jumped on board," Oshie said. "We'll be focused at the start."
James Neal and Reilly Smith scored, and Marc-Andre Fleury made 17 saves for the Golden Knights, who have lost three in a row after losing three games in the first three rounds of the Stanley Cup Playoffs.
The Golden Knights felt Game 4 was their best of the series. They outshot the Capitals 30-23 and had a 71-41 advantage in shot attempts.
The Capitals blocked 24 shots after blocking 26 in Game 3. They went 3-for-5 on the power play and 4-for-4 on the penalty kill.
"They had six goals, they had three power-play goals and made some real nice plays, but we played a lot of the game the way we wanted to play," Vegas coach Gerard Gallant said.
The Golden Knights also felt the game could have been different had Neal scored into a wide-open net during a power play at 4:31 of the first period. He shot the puck off the right post from the bottom of the left face-off circle.
"Nine times out of 10, you probably put that in the back of the net," Neal said.
Holtby said he thought the puck went in.
"Somehow, it didn't," Holtby said.
The Capitals finished killing that penalty and got a power play at 9:22. Oshie scored on it at 9:54 to make it 1-0, starting Washington's stretch of three goals in 9:45.
Wilson scored at 16:26 for a 2-0 lead, and Smith-Pelly made it 3-0 at 19:39.
"I was disappointed we were down 3-0, our players were disappointed," Gallant said. "The message was, 'Let's play the same way and let's see what happens,' because everybody liked our [first] period."
The Capitals led 4-0 after Carlson scored a power-play goal on a one-timer from the left circle at 15:23 of the second period.
Vegas made it 4-2 in the third period on goals from Neal at 5:43 and Smith at 12:26, but Kempny scored to put Washington ahead 5-2 at 13:39. Connolly scored a 5-on-3 power-play goal at 18:51 to make it 6-2.
By the end, the 18,506 in the building were chanting, "We want the Cup!"
The Capitals have never been closer to getting it.
"It's easy to let your mind wander," Carlson said. "It's been one of our strengths to make sure that we're in the right place mentally. I think everyone knows the stakes. There's nothing, no opportunity that's going to pass by that we're not going to give it all we've got."
